ANALISIS ABNORMAL RETURN SAHAM DAN VOLUME PERDAGANGAN SAHAM, SEBELUM DAN SESUDAH PERISTIWA PEMECAHAN SAHAM (STUDI PADA PERUSAHAAN YANG GO PUBLIK DI BURSA EFEK INDONESIA

Abstract

Stock is one of several options to choose from to invest. By purchasing shares in a company, means we have invested in the hope that the results will benefit from the resale of the shares. Therefore, the author interested in conducting a study entitled "Analysis of Abnormal Stock Return and Trading Volume of Shares, Before and After the stock split events (Study on the Companies that go public in Indonesia Stock Exchange Period 2007-2010"). This population there are 30 companies, is all companies listed in Indonesia Stock Exchange that the stock-split in 2007-2010, while the sample of 20 firms by using purposive sampling method. Based on the analysis with a significance level of 5% can be seen that the abnormal return shows the results of the p-value (0.773)> α (0.05) which means that Ho is accepted and Ha is rejected, or there is no difference between before the stock split abnormal return and abnormal return after the stock split. In stock trading volume (TVA), the result is a value p-value (0.003) <α (0.05) which means that Ho refused and Ha is received, or there is a difference between the volume of stock trading before the stock split and trading volume after the stock split.